It is challenging to set up OpenVPN on Whonix with a secure, leak preventing Fail Closed Mechanism. For this reason, it is strongly recommended to learn how to set up OpenVPN on Debian stable (currently Jessie). The following steps are a simple overview of the process:
- Prepare a Debian stable VM.
- Install the Debian OpenVPN package: sudo apt-get install openvpn
- Research how to set up a VPN using OpenVPN on the command line. 
- Search for help with general VPN setup in the #VPN Setup chapter or on the TestVPN page. Help is available from various sources, and the VPN provider may also be of assistance.
- Only proceed if this is successful. Do not post support requests regarding these instructions before completing this basic exercise.